Overreaction in Expectations under Signal Extraction : Experimental Evidence

Duffy, John; Hanaki, Nobuyuki; Yoo, Donghoon

Overreaction in Expectations under Signal Extraction : Experimental Evidence

Duffy, John; Hanaki, Nobuyuki; Yoo, Donghoon

Institute of Social and Economic Research Discussion Papers, 2025, 1293, 1-39

アクセス数:9件（2025-11-03 22:49 集計）

固定URL: https://hdl.handle.net/11094/102825

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タイトル	Overreaction in Expectations under Signal Extraction : Experimental Evidence
著者	著者名 Duffy, John
	NRID 1000070400611 1000070400611 ORCID 0000-0003-3127-690X 0000-0003-3127-690X researchmap permalink nhanaki nhanaki Scopus Author ID 16233221700 16233221700 著者名 Hanaki, Nobuyuki
	著者名 Yoo, Donghoon
キーワード等	Expectation formation
	Overreaction
	Signal extraction
	Diagnostic expectations
	Misperception
	Overconfidence
JEL分類コード (JEL)	C91
	D03
	D84
	G41
抄録	We experimentally evaluate three behavioral models of expectation formation that predict overreaction to new information: overconfidence in private signals, misperceptions about the persistence of the data-generating process (DGP), and diagnostic expectations. In our main experiment, participants repeatedly forecast the contemporaneous and one-step-ahead values of a random variable. They are incentivized for accuracy, informed of the exact DGP and its past history, and provided with noisy signals about the unobserved contemporaneous value. One treatment features a persistent AR(1) process, while another has no persistence. We also report on an experiment with no noisy signals. At the individual level, we find systematic overreaction even when the DGP is not persistent and regardless of whether a signal-extraction problem is present. By contrast, consensus (mean) forecasts exhibit underreaciton, consistent with evidence from other studies. Overall, our results indicate that misperceptions about persistence provide the most compelling explanation for the observed patterns of expectation formation.
出版者	The Institute of Social and Economic Research, The University of Osaka
収録物名	Institute of Social and Economic Research Discussion Papers
巻(号)	1293
ページ	1-39
刊行年月	2025-10
言語	英語
ハンドルURL	https://hdl.handle.net/11094/102825
PISSN	0473453X
eISSN	24350982
関連情報 (references)	URI https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/DP1293.pdf
アクセス権	metadata only access
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Institute of Social and Economic Research Discussion Papers

資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	Institute of Social and Economic Research Discussion Papers. 2025, 1293, p. 1-39
DC.title	Overreaction in Expectations under Signal Extraction : Experimental Evidence
DC.creator	Duffy, John
	Hanaki, Nobuyuki
	Yoo, Donghoon
DC.publisher	The Institute of Social and Economic Research, The University of Osaka
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2025-10
DC.relation' scheme='DCTERMS.URI	https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/DP1293.pdf
DC.subject	Expectation formation
	Overreaction
	Signal extraction
	Diagnostic expectations
	Misperception
	Overconfidence
DCTERMS.abstract	We experimentally evaluate three behavioral models of expectation formation that predict overreaction to new information: overconfidence in private signals, misperceptions about the persistence of the data-generating process (DGP), and diagnostic expectations. In our main experiment, participants repeatedly forecast the contemporaneous and one-step-ahead values of a random variable. They are incentivized for accuracy, informed of the exact DGP and its past history, and provided with noisy signals about the unobserved contemporaneous value. One treatment features a persistent AR(1) process, while another has no persistence. We also report on an experiment with no noisy signals. At the individual level, we find systematic overreaction even when the DGP is not persistent and regardless of whether a signal-extraction problem is present. By contrast, consensus (mean) forecasts exhibit underreaciton, consistent with evidence from other studies. Overall, our results indicate that misperceptions about persistence provide the most compelling explanation for the observed patterns of expectation formation.
DC.format	102825
citation_title	Overreaction in Expectations under Signal Extraction : Experimental Evidence
citation_author	Duffy, John
	Hanaki, Nobuyuki
	Yoo, Donghoon
citation_publisher	The Institute of Social and Economic Research, The University of Osaka
citation_language	英語
citation_date	2025-10
citation_journal_title	Institute of Social and Economic Research Discussion Papers
citation_volume	1293
citation_firstpage	1
citation_lastpage	39
citation_public_url	https://hdl.handle.net/11094/102825
citation_abstract_html_url	https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/DP1293.pdf

Overreaction in Expectations under Signal Extraction : Experimental Evidence

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